UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
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Publication:3108564
DOI10.1017/S0266466611000016zbMath1442.62200OpenAlexW3124207981MaRDI QIDQ3108564
Chirok Han, Donggyu Sul, Peter C. B. Phillips
Publication date: 4 January 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466611000016
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
Related Items (10)
ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES ⋮ DIFFERENCING TRANSFORMATIONS AND INFERENCE IN PREDICTIVE REGRESSION MODELS ⋮ ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS ⋮ First difference maximum likelihood and dynamic panel estimation ⋮ Nearly weighted risk minimal unbiased estimation ⋮ Optimal estimation under nonstandard conditions ⋮ X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION ⋮ Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals ⋮ Gaussian inference in general AR(1) models based on difference ⋮ Lag length selection in panel autoregression
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